Options/DAL

DALDelta Air Lines, Inc.

Options Analysis Report•AIR TRANSPORTATION, SCHEDULED

Market Cap $52.7B|NYSE

● 2026-08-31$80.07

NEUTRAL

Analysis: 2026-08-28 EOD data

1Y +31.0%YTD +15.9%7D -2.9%

Options Vol

65,526

30D

Implied Move

±9.4%

IV Rank

DAL Options Overview

unusual activity. No clear edge detected.

REWARDS

RISK ANALYSIS

Snowflake Analysis

Balanced conditions with no clear edge

Learn

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DAL Gamma Walls

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DAL Hedge Radar

Neutral

Full Hedge Radar

Neither score is at an extreme today. Neither axis is a forecast — this is where DAL sits on protection cost vs. fragility today.

Protection is priced in the cheap band (1.85) — near-dated vol is priced 21% below far-dated, and implied vol sits in the 2th percentile of its own past year, measured against this name's own rolling 19-trading-day realized moves (485 overlapping windows). Fragility reads neutral (5.59): it is trading 4% below its hedge wall on a wall graded MEDIUM for reliability, and its realized-vol regime is stable.

Protection cost

1.85/ 10cheap

Basis: cross_sectional

Fragility

5.59/ 10neutral

Basis: per_ticker

Value

Is IV priced right?

6.6

ExpensiveCheap

Measures whether options are cheap, fair, or rich relative to historical and peer

levels.

Risk Checks5/9 checks passed

IV Rank

≤35%

IV Rank 65.2% — elevated vs history

IV/HV Ratio

<1.05x

IV/HV 1.08x — IV premium over HV

Sector Relative≤50%

Sector percentile 68% — above sector median

Term Structure

<1.1x

Front/Back 0.79x — contango

Skew Normal

<1.25x

Put/Call IV 1.16x — elevated

Absolute IV

<80%

ATM IV 33.6% — normal range

Spread-Adjusted Value

<80%

Effective IV 51.8% (ATM 33.6% + spread 9.1% + bias) — good value

Execution Efficiency

<3.0%

Total drag 13.21% (spread 9.08% + slippage 4.13%) — high friction

Vega Efficiency

≥5.0

Vega efficiency 9.47 (vega 8.596 / spread 9.08%) — efficient

Sentiment

Bullish or bearish?

4.6

BearishBullish

Analyzes

put/call ratios

open interest skew

, and flow direction to determine market bias.

Risk ChecksVery Bearish - Weak signal (Conviction: -40%, Raw: -36%)

Flow Direction

|net sentiment| ≥25%

Conviction-weighted: -40% (strong bearish) — Raw: -36%

OI Skew Magnitude

≥15%

|OI skew| 0.9% — balanced

Volume-OI Alignment

Same sign, |vol skew| ≥10%

Vol skew +80.7%, OI skew -0.9% — divergent (opposite)

Conviction Quality

≥2/3 conditions

0-DTE 0%, far-OTM 15%, avg DTE 30

OI Momentum

|change| ≥3%

OI change +0.0% (5d) — stable

Smart Money Flow

|weighted flow| ≥20%

ITM: -11%, ATM: +29%, OTM: -44% — neutral (ITM/ATM divergent)

Sector Relative≤40% or ≥60%

Sector P/C percentile 8% — very bullish vs sector

Activity

Unusual activity?

7.3

QuietActive

Detects volume surges,

block trades

, and unusual options activity that may signal moves.

Risk Checks6/8 checks passed

Volume Surge

≥1.5x

Volume 2.4x avg — hot

Turnover Rate

≥15%

Vol/OI 15.3% — high turnover

Multi-Day Persistence

≥2 days

1 day(s) elevated — may be one-day event

OI Build

≥5%

OI change +9.3% (5d) — building

Sector Relative≥60%

Sector activity percentile 96% — very active vs sector

Trade Quality

≥30%

Large trade volume 78% — heavy institutional

Execution Urgency

≥60%

Aggressive execution 25% — patient

Flow Conviction

≥30

Conviction -40 (bearish) — moderate

Liquidity

Can I trade efficiently?

4.7

IlliquidLiquid

Evaluates

bid-ask spreads

, volume depth, and open interest for trade execution quality.

Risk Checks4/8 checks passed

Tradeable Spread

≤5.0%

Spread 9.1% — wide

Adequate OI

≥10,000

OI 428,654 — deep

Active Volume

≥500

Volume 65,526/day — active

Reasonable Cost

≤$0.50

$0.45 to cross — cheap

Strike Coverage

≥5 strikes

0 liquid strikes — limited options

Sector Relative≤40%

Sector spread percentile 69% — wider than sector

Order Book Depth

≥100 contracts

Depth 215.9 contracts (bid:100.9 ask:115.0) — adequate

Execution Quality

<1.0%

Avg slippage 4.13% — poor

Timing

Is now a good time?

7.8

RiskyFavorable

Considers earnings proximity,

time decay

, and event calendar for optimal entry timing.

Risk Checks7/9 checks passed

Term Structure Clarity

|slope| ≥5%

Slope -21.3% — contango

IV Percentile Clarity

<30 or >70

IV percentile 65% — neutral

Event Detection

≥10pts kink

IV kink -6.0pts — no clear event

Theta/Vega Clarity

<0.5 or >2.0

θ/ν ratio 154.05 — favors income trades

Expiration Distribution

≥3 expirations

5 liquid expirations — flexible

Event Risk

≥60% (safe)

safe window: No events detected

Spread Momentum

<1.2 ratio

Spread ratio 1.00x — stable

Flow Momentum

≥25% strength + ≥50% consistency

Flow -40% @ 70% consistency — STRONG directional (bearish)

Smart Money Timing

≥40 composite score

Score 108 (ITM 20% + inst 78%) — HIGH institutional

Directional Strategy Fit

Option Buyers

Long Calls5.8

bullishIV cheap, mixed flow

Long Puts6.1

bearishIV cheap, mixed flow

Premium Sellers

Cash-Secured Put4.8

bullishIV too cheap, mixed flow

Covered Call5.0

bearishIV too cheap, mixed flow

For educational purposes only. Not investment advice.

The Options Desk tracks the move options price into every US earnings report the week of Aug 31, next to how much each stock has actually moved on its past prints — plus the SPY, QQQ and IWM expected ranges and the gamma walls that box them in.

More on DAL

DAL gamma walls DAL max pain DAL IV rank DAL options flow